The Departed (2006)
No Direction Home: Bob Dylan (2005)
The Aviator (2004)
Lady by the Sea: The Statue of Liberty (2004) (TV)
Michael Jackson: Number Ones (2003) (V) (video "Bad")
"The Blues" (2003) (mini) TV Series (episode "Feel Like Going Home")
Gangs of New York (2002)
The Concert for New York City (2001) (TV) (segment "The Neighborhood")

i know stephen king directed his own version of the shining as a mini-series, with steven weber (from Wings and now Studio 60) as Jack....it's alright, but it doesn't compare to Kubrick's adaptation (which King reportedly hated)